Learn R Programming

RMFM (version 1.1.0)

Robust Matrix Factor Model

Description

We introduce a robust matrix factor model that explicitly incorporates tail behavior and employs a mean-shift term to avoid efficiency losses through pre-centering of observed matrices. More details on the methods related to our paper are currently under submission. A full reference to the paper will be provided in future versions once the paper is published.

Copy Link

Version

Install

install.packages('RMFM')

Monthly Downloads

138

Version

1.1.0

License

GPL-3

Maintainer

Wei Liu

Last Published

November 26th, 2024

Functions in RMFM (1.1.0)

gendata_rmfm

Generate simulated data
RMFM

Fit the high-dimensional robust matrix factor model
ER.RMFM

Select the structure dimension of factor matrix